EDIT(Mar 8, 2011):Well, now that the iPhone is available on Verizon, Montana's biggest cell carrier, this post is more of just an archived look at what we used to have to deal with during the 4 dark years of a mainly iPhone-less Montana.
I have an iPhone 3G in Montana with a (406) area code phone number that I brought over from Verizon (the phone number, not the iPhone) with me about a year ago. It works great! It took a little bit of work to get it rolling, but it's actually not too hard. If you're willing to jump through a few hoops, I'll explain in plain English how to get the coolest piece of technology in existence.